Eurozone exit risk
Stefan Eichler and
No 07/17, CEPIE Working Papers from Technische Universität Dresden, Center of Public and International Economics (CEPIE)
In the course of eurozone exit, the underlying stocks of American Depositary Receipts (ADRs) would be redenominated from euros into the new national currency. We exploit ADR investors' exposure to currency redenomination losses to derive a novel measure of eurozone exit risk. We find that while domestic bank stocks are not significantly affected by domestic exit risk, there is a negative exposure to exit risk of other countries that is channeled through bilateral credit risk. For the real sector, exposure to eurozone exit risk is heterogeneous among industries and is less negative for more indebted companies.
Keywords: Eurozone Exit Risk; American Depositary Receipts (search for similar items in EconPapers)
JEL-codes: F31 F32 G01 G12 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:zbw:tudcep:0717
Access Statistics for this paper
More papers in CEPIE Working Papers from Technische Universität Dresden, Center of Public and International Economics (CEPIE) Contact information at EDIRC.
Series data maintained by ZBW - German National Library of Economics ().